Cheers andym, will do. You've been a great help.

<t>Having gone through your reply more, these are some very interesting topics you are throwing out andym, is there anywhere else I can find out about these concepts, books, papers etc, or is the knowledge limited to the illuminati such as yourself?Are you trading these products (swaptions, bond opt...

Notwithstanding the issues with legging the butterfly, your reply is greatly appreciated!

Hi, andym, could you elaborate on the contingent asset swap part that you briefly touched upon. What is it and what are the mechanics as regards the movements of bond option vol and swaption vol. Thanks.

You are right, and I think that I will just do that. In my laziness, I guess I was looking for a nice point and click solution. Thanks for the replies.

<t>Well, it's just that I kept a record of forward rates, albeit from Bloomberg but I kept them nonetheless and I had a record going back quite far. I used it to look at forward rate vols etc etc, but I have recently lost the entire database. I was just wondering whether anyone else had kept a recor...

Or even anyone who knows where this data would be available?

I know its a long shot, but due to a technical 'hitch' my data is a distant memory. Is there anyone who has a historical record of forward swap points on 2,5 and 10Y swaps across 1,3,6,12 month forward points? Thanks in advance for anyone who can help.

Thank you both very much. Your responses were very useful indeed.

Actually FDAX, it does help quite a lot. Now the question is, how would I calculate it?

<t>H, I posted this on the technical page but it seems to have got lost in the deluge of other posts. I was wondering why it is the convention to quote basis point vols for swaptions as bp/day and how this quote is calculated. I have seen this on several papers analysing swaptions and as yet I dont ...

I say, zzbool, you couldn't forward those papers onto me as well could you. My email address is tapi@nildram.co.uk.Cheers in advance

Apologies if this is a really obtuse point, but why are swaption vols sometimes quoted in basis points per day. I have seen this often done but have never seen an explanation of how/why this is done.

<t>Hi,I am trying to research this topic however I am finding it difficult to come up with anything tanglible to read or topics to get into. I am aware of the TRACX index that MS and JPM are jointly developing however beyond this I am not aware of any relevant industry issues or topics to consider w...

aha,I'll go away and have a look at this method. Thanks very much.